Is Bitcoin Exciting? A Study of Bitcoin's Spillover Effects

In this study, we examine the spillover of Bitcoin’s jumps and diffusive variations to traditional assets using high frequency data. For our cross-asset study, we detect positive spillovers from Bitcoin to risk assets and negative spillovers to defensive assets. We also find evidence of positive jump and diffusion spillovers from Bitcoin to U.S. equity sectors, particularly to the financials, technology, consumer discretionary and communication services sectors. By examining the source of these risk transmissions, we show that these spillovers are exacerbated by increased economic exposures to blockchain and cryptocurrency technologies by U.S. companies. The empirical findings reveal that the price fluctuations of an unregulated asset such as Bitcoin can materially affect the price dynamics of regulated assets